Most shrimp is sold as either frozen or freshly thawed (prior frozen). When selecting the thawed shrimp, make sure they are not "mushy" and do not have freezer burn (light grey areas that look suspect). Ask the butcher to hand you one in plastic so you can feel the texture and make sure it is firm. When you have you hands on one, make sure it is moist and has no smell.
If you are lucky enough to have access to fresh shrimp (or if thawed and have been in the case for a while), make sure that they smell fresh and not "fishy" or like ammonia.